Interest Rate Risk Analysis Of Commercial Banks Under The Background Of The Interest Rate Marketization

As the interest rate marketization carried out steadily, we have made considerable achievements. The money market, bond market and foreign currency market have finished their process of interest marketization, and only the last and most important deposit market is left. This has a tremendous impact on the financial system of China. The interest rate transmission mechanism and the ability of the PBC’s indirect regulation both have been improved. Commercial banks have significantly improved their level of corporate governance, and their capital constraints enhanced. Financial institutions’ ability of product pricing and sensitivity to fluctuations in interest rates have been improved. The financial market is growing rapidly. Capital and derivatives market is playing a more and more important role in investment and risk hedging.In this context, the fluctuation of interest rate will become the embodiment of the relationship between the capital supply and demand in the market, so the fluctuation range and frequency of interest rate will increase. Interest rate risk has become an important aspect of the commercial bank’s stable management. According to the present situation of China’s financial market development and operation of commercial banks, combined with the maturity mismatch problem of commercial bank, this paper chooses the interest rate sensitivity gap model and modified F-W duration model to measure the interest rate risk.The results show that China’s commercial banks’ interest rate risk will increase with the advancement of marketization of interest rate and maturity mismatch problem. According to the analysis, several suggestions will be proposed, such as to solve the maturity mismatch problem, strengthen the ability of interest rate risk management, try to adapt the interest rate marketization and so on.